搜索结果: 1-3 共查到“管理学 Factor models”相关记录3条 . 查询时间(0.857 秒)
Efficient Estimation of Approximate Factor Models via Regularized Maximum Likelihood
High dimensionality unknown factors principal components sparse matrix conditional sparse thresholding cross-sectional correlation penalized maximum likelihood adaptive lasso heteroskedasticity
2012/11/23
We study the estimation of a high dimensional approximate factor model in the presence of both cross sectional dependence and heteroskedasticity. The classical method of principal components analysis ...
High Dimensional Covariance Matrix Estimation in Approximate Factor Models
sparse estimation thresholding cross-sectional correlation common factors idiosyncratic seemingly unrelated regression
2011/6/20
The variance covariance matrix plays a central role in the inferential theories
of high dimensional factor models in finance and economics. Popular
regularization methods of directly exploiting spar...
Dynamic factor models have a wide range of applications in econometrics and applied economics. The basic motivation resides in their capability of reducing a large set of time series to only few indic...